Problem: The variables from the nested functions (which comprehensions are effectively a special case of) aren't actually closure variables for the function being inspected.
Allowing recursive identification of all closure variables might be helpful in some contexts, but you wouldn't want it to be the only behavior; it's easier to convert a non-recursive solution to a recursive solution than the other way around.

Ok, that’s fair. But then the inspect module currently doesn’t provide tools to the user to construct the recursive identification without duplicating code already in stdlib. For that, one would need to refactor getclosurevars() to two parts: getcode() and getclosurevars_from_code(). Then one could do:
clvars = ClosureVars({}, {}, {}, set())
codes = [getcode(func)]
while codes:
code = codes.pop()
for const in code.co_consts:
if iscode(const):
codes.append(const)
lclvars = getclosurevars_from_code(code)
for v, lv in zip(clvars, lclvars):
v.update(lv)